Hi,
I am trying to build a pipeline where the lookback window-length period is measured in whole months... for example the 6-monthly return. At the moment, I use 126 days as a proxy (21 days roughly equals 1 trading month), but its not accurate enough.
Can anyone suggest how I can use a window length in months?
Thanks, and best regards,
Bruce
pipeline using monthly window length period
Update:
Don't waste your time!
Its easy enough to code... you can put the date calculation into your pipeline, or into the class your pipeline calls if you have one. Print statements in both reveal correct calculations and setting of window_length.
However, if the window_length parameter is played with after pipeline initialization, the outputs you get become unstable, and the results you get back from pipeline calculations are incorrect.
For anyone who comes across this post in the future and wants to do the same thing, probably the next step is to abandon pipeline and just use the history function.
Cheers,
Bruce
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.